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Cointegration analysis using M estimators

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  • Juhl, Ted

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  • Juhl, Ted, 2001. "Cointegration analysis using M estimators," Economics Letters, Elsevier, vol. 71(2), pages 149-154, May.
    • Handle: RePEc:eee:ecolet:v:71:y:2001:i:2:p:149-154
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    References listed on IDEAS

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    1. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    3. Andre Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 185-214.
    4. Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(2), pages 149-169, April.
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